In a large mixing bowl, combine the flour, sugar, and salt.
In a separate bowl, dissolve the yeast in the warm milk and let it sit for about 5 minutes until frothy.
Add the yeast mixture, eggs, melted butter, and vanilla extract to the dry ingredients. Mix until a dough forms.
Knead the dough on a floured surface for about 5-7 minutes until smooth and elastic.
Place the dough in a greased bowl, cover with a clean kitchen towel, and let it rise in a warm place for about 1 hour or until doubled in size.
Once the dough has risen, punch it down and roll it out to about 1/2-inch thickness.
Cut out circles using a 2-3 inch round cutter.
Place the circles on a floured baking sheet, cover, and let them rise for another 30 minutes.
In a deep pot, heat about 2 inches of vegetable oil to 350°F.
Carefully fry the dough circles in batches for about 2-3 minutes on each side until golden brown.
Remove and drain on paper towels.
Once cooled slightly, fill each bombolone with pastry cream using a piping bag.
Dust with powdered sugar before serving.